Time series with long memory

Abstract

Introduction 1. Long Memory Time Series 2. On Large-Sample Estimation of the Mean of a Stationary Random Sequence 3. Long Memory Relationships and the Aggregation of Dynamic Models 4. Large Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series 5. Long-Term Memory in Stock Market Prices 6. The Estimation and Application of Long-Memory Time Series Models 7. Gaussian Semiparametric Estimation of Long-Range Dependence 8. Testing for Strong Serial Correlation and Dynamic Conditional Heteroskedasticity in Multiple Regression 9. On the Detection and Estimation of Long Memory in Stochastic Volatility 10. Efficient Tests of Nonstationary Hypotheses 11. Estimation of the Memory Parameter for Nonstationary or Noninvertible Fractionally Integrated Processes 12. Limit Theorems for Regression with Unequal and Dependent Errors 13. Time Series Regression with Long Range Dependence 14. Semiparametric Frequency-Domain Analysis of Fractional Cointegration

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